How to open this application ?

[CelesteGodwin]

I have downloaded the MAC OS version and I cannot get it to open. I have the latest version of the MAC OS.

At first it tried to open with the Archive application and it failed, it said it is not a compatible format.
Secondly I tried to change the Open With default application with something else. I tried open with Terminal and it gave me an error saying it cannot be opened as it cannot be scanned for malicious software.

At last, I double clicked and chose Open again, then it asked me if I wanted to open it. I said yes and then nothing happened.
No application appeared, only a Terminal window.

So, how exactly do I open and use this ?